enThe impact of QE on liquidity: evidence from the UK Corporate Bond Purchase Schemehttps://www.bankofengland.co.uk/-/media/boe/files/working-paper/2019/the-impact-of-qe-on-liquidity-evidence-from-the-uk-corporate-bond-purchase-scheme.pdf
Bank of England Working Papers by Lena Boneva, David Elliott, Iryna Kaminska, Oliver Linton, Nick McLaren and Ben MorleyThe impact of QE on liquidity: evidence from the UK Corporate Bond Purchase Scheme2019-03-01T00:00:00ZIn August 2016, the Bank of England (BoE) announced a Corporate Bond Purchase Scheme (CBPS) to purchase up to £10 billion of sterling corporate bonds. To investigate the impact of these purchases on liquidity, we create a novel dataset that combines transaction-level data from the secondary corporate bond market with proprietary offer-level data from the BoE&#39;s CBPS auctions. Identifying the impact of central bank asset purchases on liquidity is potentially impacted by reverse causality, because liquidity considerations might impact purchases. But the offer-level data allow us to construct proxy measures for the BoE&#39;s demand for bonds and auction participants&#39; supply of bonds, meaning that we can control for the impact of liquidity on purchases. Across a range of liquidity measures, we find that CBPS purchases improved the liquidity of purchased bonds.The impact of QE on liquidity: evidence from the UK Corporate Bond Purchase SchemeFull texthttps://www.bankofengland.co.uk/-/media/boe/files/working-paper/2019/the-impact-of-qe-on-liquidity-evidence-from-the-uk-corporate-bond-purchase-scheme.pdfDavid ElliottNick McLarenBen MorleyOliver LintonLena BonevaIryna KaminskaLena Boneva, David Elliott, Iryna Kaminska, Oliver Linton, Nick McLaren and Ben Morley2019-03-01Bank of England Working PapersE52E58G12G23The cross-sectional spillovers of single stock circuit breakershttps://www.bankofengland.co.uk/-/media/boe/files/working-paper/2018/the-cross-sectional-spillovers-of-single-stock-circuit-breakers.pdf
Bank of England Working Papers by James Brugler, Oliver Linton, Joseph Noss and Lucas PedaceThe cross-sectional spillovers of single stock circuit breakers2018-10-12T00:07:59ZThis paper uses transaction data to estimate how single stock circuit breakers on the London Stock Exchange affect other stocks that remain in continuous trading. This &#39;spillover&#39; effect is estimated by calculating the effect of a trading halt on the market quality of stocks that remain in continuous trading and comparing this with the effect of a stock whose absolute returns are of a magnitude nearly sufficient to trigger a trading halt but do not do so. Market quality is measured using a combination of trading costs, volatility and volume. We find that circuit breakers lead to a significant improvement in the liquidity, and reduction in the volatility, of stocks that remain in continuous trading. This might suggest that - at least over the period covered by our data - single stock circuit breakers play an important role in reducing the spillover of poor market quality across stocks.The cross-sectional spillovers of single stock circuit breakersFull texthttps://www.bankofengland.co.uk/-/media/boe/files/working-paper/2018/the-cross-sectional-spillovers-of-single-stock-circuit-breakers.pdfJames BruglerLucas PedaceOliver LintonJoseph NossJames Brugler, Oliver Linton, Joseph Noss and Lucas Pedace2018-10-12Bank of England Working PapersG12G14G15G18The October 2016 sterling flash episode: when liquidity disappeared from one of the world&#39;s most liquid marketshttps://www.bankofengland.co.uk/-/media/boe/files/working-paper/2017/the-october-2016-sterling-flash-episode.pdf?la=en=EBDDC321C3692BFFA9D7187612ACF64C911AA392
Bank of England Working papers by Joseph Noss, Lucas Pedace, Ondrej Tobek, Oliver Linton and Liam Crowley-ReidyThe October 2016 sterling flash episode: when liquidity disappeared from one of the world&#39;s most liquid markets2017-10-27T00:00:00ZThis paper provides an in-depth analysis of the evolution of liquidity during the flash episode in sterling during the early hours of 7 October 2016. It examines a number of estimates both of the cost of trading, and the price impact of executed transactions. These include a variant of the &#39;volatility over volume&#39; measure of liquidity based on transaction data, which provides a better proxy of illiquidity - as given by measures based on high-frequency limit order book data - than other summary measures of price impact. The paper also shows that the fall in the value of sterling during the initial part of the flash episode was consistent with the estimated impact on prices of a large number of individually small - but in aggregate large - volume of orders to sell sterling during a normally quiet period of the trading day. However, the subsequent change in price was larger than that consistent with the estimated impact on prices of observed orders to sell sterling. This might support the suggestion, which was included in the report on the episode provided by the Bank for International Settlements, that the move in sterling may have been amplified by the pause in trading on the CME futures exchange.The October 2016 sterling flash episode: when liquidity disappeared from one of the world&#39;s most liquid marketsFull texthttps://www.bankofengland.co.uk/-/media/boe/files/working-paper/2017/the-october-2016-sterling-flash-episode.pdf?la=en=EBDDC321C3692BFFA9D7187612ACF64C911AA392Lucas PedaceOndrej TobekOliver LintonLiam Crowley-ReidyJoseph NossJoseph Noss, Lucas Pedace, Ondrej Tobek, Oliver Linton and Liam Crowley-Reidy2017-10-27Bank of England Working PapersF33F37G01G15A discrete choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuancehttps://www.bankofengland.co.uk/-/media/boe/files/working-paper/2017/a-discrete-choice-model-for-large-heterogeneous-panels-with-interactive.pdf?la=en=ABB85D9FD497C515233AA6D198F972C02071BACE
Bank of England Working Papers by Lena Boneva and Oliver LintonA discrete choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance2017-01-20T00:00:40ZWhat is the effect of funding costs on the conditional probability of issuing a corporate bond? We study this question in a novel dataset covering 5,610 issuances by US firms over the period from 1990 to 2014. Identification of this effect is complicated because of unobserved, common shocks such as the global financial crisis. To account for these shocks, we extend the common correlated effects estimator to settings where outcomes are discrete. Both the asymptotic properties and the sample behaviour of this estimator are documented. We find that for non-financial firms, yields are negatively related to bond issuance but that effect is larger in the pre-crisis period.A discrete choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuanceFull texthttps://www.bankofengland.co.uk/-/media/boe/files/working-paper/2017/a-discrete-choice-model-for-large-heterogeneous-panels-with-interactive.pdf?la=en=ABB85D9FD497C515233AA6D198F972C02071BACEOliver LintonLena BonevaLena Boneva and Oliver Linton2017-01-20Bank of England Working PapersC23C25G32Evaluating Value-at-Risk Models via Quantile Regressionshttp://www.bcb.gov.br/pec/wps/port/wp161.asp?idiom=I
Central Bank of Brazil Working Papers by Wagner P. Gaglianone, Luiz Renato Lima and Oliver LintonEvaluating Value-at-Risk Models via Quantile Regressions2008-04-05T17:32:59ZEvaluating Value-at-Risk Models via Quantile RegressionsAbstracthttp://www.bcb.gov.br/pec/wps/port/wp161.asp?idiom=IOliver LintonLuiz Renato LimaWagner P. GaglianoneWagner P. Gaglianone, Luiz Renato Lima and Oliver Linton2008-02Central Bank of Brazil Working Papers